The stock price is currently $50. It is known that at the end of one month it will be either $55 or $45. The risk-free interest rate is 6% per annum with continuous compounding. A one-month European call option on the stock has a strike price of $48 and a price of $4.

Describe in detail how you would design an arbitrage strategy that involves zero net cash flow today and provides a guaranteed arbitrage profit at the maturity date of the option.

Note: in your answer, you should provide all the steps or transactions today and at the maturity date of the options. illustrate the profit of the strategy use 4 decimal places for your answer and leave the rounding to your final answer, and not to round your inputs during the workings of the problem. (max 200 words)